Price Action Lab Blog


 

The PSI5 mean-reversion strategy has outperformed the buy and hold performance of SPY total return since the bottom of the financial crisis on a risk-adjusted basis.

The PSI5 (MR5) proprietary strategy is included in our mean-reversion signal service with same parameters.

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The Fluxionization™ strategy (FLUXSP100) makes use of Isaac Newton’s fluxions and probability theory to trade long-only S&P 100 stocks. The Fluxionization™ strategy makes use of these ideas and probability theory to trade long-only S&P 100 stocks.

cagr fluxion Fluxionization Isaac long makes Newton only strategy trade

 

Volatility Bulls: The New Permabears [0.08]

Posted on Aug. 15, 2017, 8:14 a.m. by Price Action Lab Blog @ [source]

Each time there is profit taking in the stock market, the permabears of the early phase of the uptrend show up as volatility bulls.

Some permabears who argued in 2011 that the S&P 500 will soon retest 667 levels and think they have covered their tracks by deleting posts and tweets, announce a rise in volatility each time there is little profit taking resulting in a 1% drop in S&P 500.

amusing bear corrections hilarious market permabears profit rise taking volatility

 

Weekly premium reports include a market recap with commentary, performance of selected large cap stocks and ETFs, technical analysis with unique indicators and directional probabilities based on machine learning.

cap commentary include market performance premium recap reports stocks weekly

 

The institutional grade mean-reversion strategy trades the S&P 100 stocks in short-term long-only mode.

This strategy is available for sale to hedge funds and institutional traders.

absolute adjusted backtest performance results returns risk stock strategy trades

 

Despite market weakness, the long/short market neutral strategy gained 0.34% from the open to the close of Friday, August 11, 2017.

This long/short market neutral strategy is based on features engineered by DLPAL software.

details DLPAL long LS market neutral Ranking short stocks strategy

 

Despite the correction, the long/short market neutral strategy gained 0.15% from the open to the close of Thursday, August 10, 2017.

This long/short market neutral strategy is based on features engineered by DLPAL software.

details DLPAL long LS market neutral Ranking short stocks strategy

 

In this article we investigate how the low volatility and market regime change have affected the frequency of mean-reversion signal generation of four strategies.

affected frequency generation investigate market mean regime reversion signal volatility

 

Neal Berger: Trend-Following Won’t Survive [0.05]

Posted on Aug. 10, 2017, 8:49 a.m. by Price Action Lab Blog @ [source]

Neal Berger, the CIO of Eagle’s View Asset Management, thinks trend-following and other “pedestrian” quant strategies, such as momentum, won’t survive due to lack of dumb money. I totally agree with Neal Berger that the alpha is in idiosyncratic methods that cannot be replicated by other market participants.

AI Berger factor following funds momentum quant strategies trend years

 

Tactical Investing Conundrum [0.09]

Posted on Aug. 8, 2017, 8:55 a.m. by Price Action Lab Blog @ [source]

One of the most difficult problems of tactical investing is using timing strategies that are not biased due to special market conditions of the past. During that unique uptrend there was only one major short-term correction due to the Ruble crisis in 1998.

market moving performance strategies strategy tactical investing term timing trader versus

 

Fully Functional Trial Of DLPAL S [0.14]

Posted on Aug. 7, 2017, 7:32 a.m. by Price Action Lab Blog @ [source]

We are pleased to announce a two-month fully functional trial of DLPAL S, a software program that identifies trading strategies automatically from historical data and writes code for a variety of popular trading platforms.

We have decided to offer a two-month fully functional trial because quants nowadays need more time to develop strategies in a trading environment dominated by algos and there is simply no way of evaluating software potential without full code capability.

code data DLPAL fully functional month results software strategies trading two

 

Weekly premium reports include a market recap with commentary, performance of selected large cap stocks and ETFs, technical analysis with unique indicators and directional probabilities based on machine learning.

cap commentary include market performance premium recap reports stocks weekly

 

The Dow Jones Industrial Average is gaining nearly 13% year-to-date on a total return basis with longer-term returns showing a mean-reverting tendency. The average 10-year return is about 95% while the maximum was 323% near the top of the 1990s uptrend and the minimum about -49% after the Great Depression.

bull market mean returns reversion reverting rise tendency year year rolling

 

Buy The Dip On The Decline [0.13]

Posted on Aug. 1, 2017, 8:58 a.m. by Price Action Lab Blog @ [source]

Buy the dips has been a profitable simple strategy this year but its effectiveness is now on the decline after topping in February of this year.

Usually, but not always, a decline in buy the dip activity is associated with a short-term top or even a major top as in 2007.

activity correction decline dip dynamics market short term strategy top traders

 

Weekly premium reports include a market recap with commentary, performance of selected large cap stocks and ETFs, technical analysis with unique indicators and directional probabilities based on machine learning.

cap commentary include market performance premium recap reports stocks weekly

 

The term “tail event” appears frequently in financial literature but in the last 14 years there have only been two such events in S&P 500 during an uptrend with daily returns of -6.6% and 4.4% both during the 2011 correction, while the rest have occurred at the bottom of the financial crisis.

Mean-reversion signals for short-term SPY traders are provided in our Mean Reversion report.

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Dow Theory Myth [0.11]

Posted on July 28, 2017, 1:59 p.m. by Price Action Lab Blog @ [source]

Hello, this is 2017, as far as I can tell although at times it’s difficult to follow the arrow of time when reading social media posts about the markets. What is more interesting is that many repeat the noise and useless memes not realizing that this is 2017 and any claims made are verifiable and falsifiable.

care DJI DJT dow jones market strategy theories theory top

 

Hello, this is 2017, as far as I can tell although at times it’s difficult to follow the arrow of time when reading social media posts about the markets. What is more interesting is that many repeat the noise and useless memes not realizing that this is 2017 and any claims made are verifiable and falsifiable.

care DJI DJT dow jones market strategy theories theory top

 

There has been an increase recently in the number of articles about the perils of trading by some failed traders. If one takes a closer look, most failed traders share common characteristics.

articles closer common failed losers perils recently takes traders trading